ESMA has published a study showing how regulatory reporting data can be used to identify risks in derivatives markets, such as occurred in the case of Archegos.
In the study, ESMA finds that the build-up of exposures by Archegos, a US family office whose collapse in March 2021 resulted in more than USD 10bn in losses, can be seen in data reported under the European Market Infrastructure Regulation (EMIR). The high level of concentration and the associated risks posed by the firm are also visible.
These findings show how regulatory data collected under EMIR can be used to monitor leverage and concentration risk arising in derivatives markets, and could foster the development of early warning indicators by supervisory authorities to track different types of risk.
Competent authorities shall report to the EBA information on the total value assets held by these entities within the scope of their jurisdiction in the format specified in the Annexes to the Decision.
The EBA will provide feedback to the relevant competent authorities for each third country group in order to facilitate cooperation between the competent authorities and support their IPU decision process.
